Access the full text.
Sign up today, get DeepDyve free for 14 days.
Yaozhong Hu, B. Øksendal (2008)
Partial Information Linear Quadratic Control for Jump DiffusionsSIAM J. Control. Optim., 47
D.P. Bertsekas, A. Nedic, A.E. Ozdaglar (2003)
Convex Analysis and Optimization
F. Biagini, B. Øksendal (2005)
A General Stochastic Calculus Approach to Insider TradingApplied Mathematics and Optimization, 52
A. King (2002)
Duality and martingales: a stochastic programming perspective on contingent claimsMathematical Programming, 91
(2007)
Stochastic Differential Equations, 6th edn
A. Sulem, A. Kohatsu-Higa, B. Oksendal, F. Proske, G. Nunno, T. Meyer-Brandis (2005)
Anticipative stochastic control for Levy processes with application to insider tradingHandbook of Numerical Analysis, 15
F. Delbaen, W. Schachermayer (1994)
A general version of the fundamental theorem of asset pricingMathematische Annalen, 300
R. Vanderbei, M. Pınar (2009)
Pricing American Perpetual Warrants by Linear ProgrammingSIAM Rev., 51
B. Øksendal (2007)
Stochastic Differential Equations
G. Nunno, A. Kohatsu-Higa, T. Meyer-Brandis, B. Øksendal, F.N. Proske, A. Sulem (2008)
Mathematical Modelling and Numerical Methods in Finance
T. Pennanen (2011)
Convex duality in stochastic optimization and mathematical finance
S. Pliska (1997)
Introduction to Mathematical Finance
E. Platen, W. Runggaldier (2007)
A Benchmark Approach to Portfolio Optimization under Partial InformationAsia-Pacific Financial Markets, 14
P. Lakner (1995)
Utility maximization with partial informationStochastic Processes and their Applications, 56
(1997)
Introduction to Mathematical Finance, 1st edn
R.T. Rockafellar (1974)
Conjugate Duality and Optimization
(1974)
Conjugate Duality and Optimization, 1st edn
A. King, L. Korf (2001)
MARTINGALE PRICING MEASURES IN INCOMPLETE MARKETS VIA STOCHASTIC PROGRAMMING DUALITY IN THE DUAL OF L
R. Vanderbei (1998)
Linear Programming: Foundations and ExtensionsJournal of the Operational Research Society, 49
We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. This gives a characterization of the seller’s price of a contingent claim. Finally, we analyze the dual problem, and compare the prices offered by two sellers with delayed and full information respectively.
Applied Mathematics and Optimization – Springer Journals
Published: Oct 1, 2013
Access the full text.
Sign up today, get DeepDyve free for 14 days.